Why did progressives form their own political party?

In the US we have only two parties, but many more 'interests'. The Democratic Party traditionally served liberals, progressives, labor, consumerism, etc. etc. The Republican Party served conservatives, capitalists, libertarians, etc. Both parties at different times served isolationists, racists, reactionaries, expansionists, imperialists, etc.

When one of these interest groups feels its party doesn't serve its needs, they will sometimes attempt to form their own parties. The Progressive Party, the Free Soilers, the Know Nothings, the 'American Independent Party' (of George Wallace) are examples of this.

In the case of the Progressive Party, Teddy Roosevelt was a very progressive president in the Republican Party. In fact his time in office was called 'The Progressive Era'. Roosevelt endorsed the next American president, Taft, thinking Taft would carry on TR's progressive agenda. When he didn't, Roosevelt got angry and decided to run against him as a third party candidate. His party is called the Bull Moose Party but that's a nickname, it was actually the Progressive Party.